Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0032
Annualized Std Dev 0.2550
Annualized Sharpe (Rf=0%) -0.0126

Row

Daily Return Statistics

Close
Observations 3034.0000
NAs 1.0000
Minimum -0.1537
Quartile 1 -0.0075
Median 0.0000
Arithmetic Mean 0.0001
Geometric Mean 0.0000
Quartile 3 0.0082
Maximum 0.1449
SE Mean 0.0003
LCL Mean (0.95) -0.0005
UCL Mean (0.95) 0.0007
Variance 0.0003
Stdev 0.0161
Skewness -0.7415
Kurtosis 14.0755

Downside Risk

Close
Semi Deviation 0.0118
Gain Deviation 0.0108
Loss Deviation 0.0127
Downside Deviation (MAR=210%) 0.0164
Downside Deviation (Rf=0%) 0.0118
Downside Deviation (0%) 0.0118
Maximum Drawdown 0.8312
Historical VaR (95%) -0.0237
Historical ES (95%) -0.0384
Modified VaR (95%) -0.0250
Modified ES (95%) -0.0530
From Trough To Depth Length To Trough Recovery
2010-11-08 2020-03-23 NA -0.8312 2609 2358 NA
2009-10-13 2009-10-28 2010-03-02 -0.1495 96 12 84
2009-02-10 2009-02-24 2009-03-17 -0.1146 14 8 6
2010-04-27 2010-05-25 2010-06-15 -0.1046 34 21 13
2009-06-15 2009-06-24 2009-07-01 -0.0798 13 8 5

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2009 NA 3.3 0.7 -1.3 2.3 3.6 1.1 -6.3 -1.4 -1.6 1.9 1.6 3.6
2010 1.9 0.5 1.6 -0.5 1.4 0.2 1.1 2.9 -0.3 0.8 2.1 1 13.5
2011 0.2 0.7 0.8 0 0.1 0.5 0.8 -0.2 -2.6 -3 -0.7 0.3 -3
2012 0.3 1.4 -1.2 2.2 -2.8 3 -0.4 0.2 -0.5 -1.9 0 0.8 0.9
2013 0.8 -0.2 -0.2 -1.1 -3.3 -0.2 1.8 -0.1 1 -0.3 0.4 0.1 -1.2
2014 -0.6 1.2 1.2 0.4 0 1.1 0.8 0.1 -1.6 0.3 -3.3 -0.3 -0.6
2015 -1.2 0 2.9 -0.7 -1.5 -1.5 0.6 -3.9 0 0.1 0.3 0.8 -4.2
2016 -1.9 3.1 1.3 -0.4 -0.8 0.7 -1.3 0.3 -0.1 -1 0.3 -0.2 -0.1
2017 0.2 -0.3 -0.1 0.4 1.2 0.9 1.4 1.1 0.2 -0.1 -0.3 0.2 4.9
2018 1.2 -1.3 2.2 -0.3 2.4 1 -0.2 -0.5 0.1 0.7 -0.7 0 4.6
2019 0 0.1 0.6 -0.9 -1 0.5 -2.6 0 -0.7 3 0.6 0 -0.6
2020 -0.4 -3.4 -6.2 -5.1 2.7 1.7 -1.6 4.1 -0.9 1.9 2.9 -0.8 -5.6
2021 -0.3 2.1 -0.6 NA NA NA NA NA NA NA NA NA 1.1

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2009-02-09  30.9 SPY    87.1  0.0014    0.0547  -0.0433  -0.0414   -0.346   -0.306   -0.239 GLD    88.3 -0.0142  -0.0059
2 2009-02-10  30   SPY    83.1 -0.0458   -0.0075  -0.0671  -0.114    -0.379   -0.344   -0.274 GLD    90.2  0.0214   0.0197
3 2009-02-13  30.5 SPY    82.8 -0.0108   -0.0485  -0.0191  -0.0357   -0.388   -0.345   -0.284 GLD    92.6 -0.0067   0.033 
4 2009-02-17  29.3 SPY    79.2 -0.0428   -0.0905  -0.0614  -0.131    -0.414   -0.380   -0.312 GLD    95.4  0.0313   0.0807
5 2009-02-18  29.4 SPY    79.0 -0.00240  -0.0491  -0.0709  -0.0876   -0.417   -0.384   -0.320 GLD    96.9  0.0153   0.0743
6 2009-02-19  29.6 SPY    78.2 -0.0107   -0.0648  -0.0297  -0.0853   -0.425   -0.395   -0.324 GLD    95.8 -0.0118   0.0377
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart